Access Statistics for Lucio Sarno

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Cross-Country Financial Accelerator: Evidence from North America and Europe 0 0 0 166 0 0 6 631
A General Randomized Test for Alpha 0 0 5 5 3 3 12 12
A general randomized test for Alpha 0 0 2 11 2 3 18 25
An Economic Evaluation of Empirical Exchange Rate Models 0 0 0 414 0 1 12 797
Arbitrage in the Foreign Exchange Market: Turning on the Microscope 2 2 6 159 3 8 32 617
Arbitrage in the Foreign Exchange Market: Turning on the Microscope 2 2 2 308 5 6 38 1,151
Arbitrage in the foreign exchange market: Turning on the microscope 2 2 2 469 2 5 41 1,810
Assessing the benefits of international portfolio diversification in bonds and stocks 0 0 1 316 3 6 26 1,336
Asset Prices and International Spillovers: An Empirical Investigation 0 0 0 54 1 1 7 212
Asset Prices, Exchange Rates and the Current Account 0 0 0 52 1 1 13 247
Asset prices, exchange rates and the current account 0 0 0 378 0 1 85 1,056
Asset prices, exchange rates and the current account 0 0 0 131 0 0 11 334
Business Cycles and Currency Returns 0 0 1 49 1 4 30 192
Business Cycles and Currency Returns 0 0 0 24 1 1 24 113
Carry Trades and Global FX Volatility 0 1 1 426 2 10 37 1,047
Carry Trades and Global Foreign Exchange Volatility 1 2 2 256 4 13 35 606
Caution or Activism? Monetary Policy Strategies in an Open Economy 0 0 0 65 0 2 9 214
Caution or Activism? Monetary Policy Strategies in an Open Economy 0 0 0 62 0 1 9 303
Caution or Activism? Monetary Policy Strategies in an Open Economy 0 0 0 56 1 1 15 224
Comparing the Accuracy of Density Forecasts from Competing Models 0 0 0 0 1 1 9 350
Currency Momentum Strategies 0 3 5 284 16 32 91 1,610
Currency Momentum Strategies 0 0 2 150 0 3 29 551
Currency Momentum Strategies 0 0 0 102 2 2 24 458
Currency Premia and Global Imbalances 0 1 2 112 0 1 23 374
Currency Risk Premia Redux 0 0 0 6 2 3 13 36
Currency Value 0 0 1 112 3 3 15 194
Currency risk premiums redux? 0 0 1 8 0 0 21 42
Does the law of one price hold in international financial markets? Evidence from tick data 0 0 0 98 0 1 15 269
European Capital Flows and Regional Risk 0 0 0 0 1 2 9 391
Exchange Rate Forecasting, Order Flow and Macroeconomic Information 0 0 1 175 0 2 24 548
Exchange Rates and Fundamentals: Evidence on the Economic Value of Predictability 0 0 0 261 1 2 11 632
Exchange Rates and Fundamentals: Footloose or Evolving Relationship? 0 0 0 174 4 6 25 419
Exchange Rates and Sovereign Risk 0 1 1 17 0 2 21 71
Exchange rate forecasting, order flow and macroeconomic information 0 0 0 299 0 1 11 653
Factor Models of Asset Returns and Bear Market Risk 1 1 1 1 0 0 0 0
Federal Funds Rate Prediction 0 0 0 482 0 1 16 6,446
Federal Funds Rate Prediction 0 0 0 207 0 0 7 1,938
Federal funds rate prediction 0 0 0 329 0 2 13 1,561
Foreign Exchange Intervention: A New Database 0 0 1 42 0 0 14 153
Foreign Exchange Risk and the Predictability of Carry Trade Returns 1 1 1 152 3 3 17 362
Foreign Exchange Volume 1 2 2 15 1 2 8 61
Foreign currency lending 0 0 0 44 1 1 12 284
Foreign exchange intervention: A new database 0 1 2 7 1 2 9 25
Foreign exchange intervention: A new database 0 0 1 58 1 2 19 102
Hot Money, Accounting Labels and the Persistence of Capital Flows to Developing Countries: An Empirical Investigation 0 0 0 0 0 0 10 601
How the Subprime Crisis Went Global: Evidence from Bank Credit Default Swap Spreads 0 0 0 0 2 2 22 24
How the Subprime Crisis Went Global: Evidence from Bank Credit Default Swap Spreads 0 0 0 635 1 2 17 1,543
How well do monetary fundamentals forecast exchange rates? 0 0 2 823 0 1 14 2,525
Information flows in foreign exchange markets: dissecting customer currency trades 0 3 3 139 3 12 28 513
Modelling and Forecasting Stock Returns: Exploiting the Futures Market, Regime Shifts and International Spillovers 0 0 0 365 0 1 17 536
Monetary Fundamentals and Exchange Rate Dynamics Under Different Nominal Regimes 0 0 0 1 0 2 15 416
Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes 0 0 0 213 2 2 12 610
Monetary Policy Rules, Asset Prices and Exchange Rates 0 0 0 238 0 0 17 663
Monetary policy and learning in an open economy 0 0 0 19 0 0 8 146
Monetary policy and learning in an open economy 0 0 0 148 0 0 12 451
New Evidence on the Forward Unbiasedness Hypothesis in the Foreign Exchange Market 0 0 0 174 1 2 10 395
Non-Linear Dynamics in Deviations from the Law of One Price: A Broad-Based Empirical Study 0 1 1 290 0 1 8 929
Non-Linear Equilibrium Corection in US Real Money Balances, 1869-1997 0 0 0 133 1 1 7 417
Non-Standard Errors 1 1 1 28 2 5 21 173
Non-Standard Errors 1 1 1 45 1 4 41 485
Non-linear dynamics in output, real exchange rates and real money balances: Norway, 1830-2003 0 0 0 203 0 0 14 708
Nonlinear Dynamics, Spillovers and Growth in the G7 Economies: An Empirical Investigation 0 0 0 82 2 2 10 349
Nonlinear Exchange Rate Models: A Selective Overview 0 0 0 348 1 1 5 533
Nonlinear Mean-Reversion in Real Exchange Rates: Towards a Solution to the Purchasing Power Parity Puzzles 0 0 3 957 2 2 34 2,065
Nonlinearity in Deviations From Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle 0 0 1 304 0 3 14 705
Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle 0 0 0 161 2 2 26 489
Nonstandard Errors 0 0 0 0 0 4 22 24
Nonstandard Errors 0 0 1 4 1 4 28 48
Nonstandard Errors 0 0 0 0 1 1 30 36
Nonstandard errors 1 1 2 13 2 5 32 84
Official Intervention in the Foreign Exchange Market: Is It Effective, and, If So, How Does It Work? 0 2 7 934 2 6 34 2,386
Properties of Foreign Exchange Risk Premia 0 0 0 152 2 4 19 440
Properties of Foreign Exchange Risk Premiums 0 0 1 83 1 2 12 273
Properties of Foreign Exchange Risk Premiums 0 0 0 74 0 0 16 182
Purchasing Power Parity and the Real Exchange Rate 0 0 2 1,200 1 7 35 3,837
Real Exchange Rates under the Recent Float: Unequivocal Evidence of Mean Reversion 0 0 0 0 0 0 10 861
Real Interest Rates, Liquidity Constraints and Financial Deregulation: Private Consumption Behaviour in the UK 0 0 0 0 0 1 9 708
Risks and Risk Premia in the US Treasury Market 0 0 2 2 1 1 13 15
Risky Bank Guarantees 0 0 0 14 1 2 5 73
Risky bank guarantees 0 0 0 22 1 1 9 60
Saving-Investment Correlations: Transitory versus Permanent 0 0 0 0 0 0 6 488
Skewness Risk Premia and the Cross-Section of Currency Returns 2 2 2 2 2 3 3 3
Spot and Forward Volatility in Foreign Exchange 0 0 4 581 4 4 27 1,885
The Behaviour of Real Exchange Rates During the Post-Bretton Woods Period 0 0 0 389 2 3 65 1,401
The Dynamic Relationship Between the Federal Funds rate and the Treasury Bill Rate: An Empirical Investigation 0 0 0 564 0 2 24 3,196
The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields 0 0 1 126 0 1 16 445
The Expectation Hypothesis of the Term Structure of Very Short-Term Rates: Statistical Tests and Economic Value 0 0 0 108 1 1 8 469
The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond 0 0 0 298 2 3 20 823
The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond 0 0 0 522 0 2 18 1,332
The Persistence of Capital Inflows and the Behaviour of Stock Prices in East Asia Emerging Markets: Some Empirical Evidence 0 0 1 220 0 0 11 615
The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth? 0 0 0 43 0 1 18 190
The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth? 0 0 0 114 1 3 16 238
The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates 0 0 0 246 2 2 28 655
The Scapegoat Theory of Exchange Rates: The First Tests 0 0 0 58 0 2 16 275
The Scapegoat Theory of Exchange Rates: The First Tests 0 0 0 63 0 1 38 259
The Term Structure Of Euromarket Interest Rates: Some New Evidence 0 0 0 194 0 2 8 305
The Trade Imbalance Network and Currency Returns 5 5 5 5 1 1 1 1
The cost of foreign-currency lending 0 0 0 0 0 0 13 29
The dynamic relationship between the federal funds rate and the Treasury bill rate: an empirical investigation 0 0 0 527 1 1 18 2,151
The efficient market hypothesis and identification in structural VARs 0 0 0 253 0 0 13 897
The empirical failure of the expectations hypothesis of the term structure of bond yields 0 0 0 383 0 0 10 825
The expectation hypothesis of the term structure of very short-term rates: statistical tests and economic value 0 0 0 222 0 0 8 757
The scapegoat theory of exchange rates: the first tests 0 0 1 90 4 6 17 449
The scapegoat theory of exchange rates: the first tests 0 0 0 34 0 1 10 173
Volatility Risk Premia and Exchange Rate Predictability 0 0 0 65 5 7 27 212
What Do Stock Markets Tell Us About Exchange Rates? 0 0 1 44 0 0 13 134
What Drives International Portfolio Flows? 0 1 1 103 0 2 20 295
What do stock markets tell us about exchange rates? 0 0 2 91 1 2 27 199
What's unique about the federal funds rate? evidence from a spectral perspective 0 0 0 114 1 2 8 588
When Is Foreign Exchange Intervention Effective? Evidence from 33 Countries 0 0 3 136 0 1 27 295
When is foreign exchange intervention effective? Evidence from 33 countries 0 0 2 101 1 2 46 230
Which Fundamentals Drive Exchange Rates? A Cross-Sectional Perspective 0 0 0 89 0 0 15 286
Total Working Papers 20 36 93 20,125 127 279 2,147 72,860
3 registered items for which data could not be found

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A century of equity premium predictability and the consumption-wealth ratio: An international perspective 0 0 1 93 1 1 9 325
A cross-country financial accelerator: Evidence from North America and Europe 0 0 0 96 0 1 13 268
Adjustment Costs and Nonlinear Dynamics in the Demand for Money: Italy, 1861-1991 0 0 0 88 0 0 11 322
An Economic Evaluation of Empirical Exchange Rate Models 0 0 0 128 3 4 10 315
An empirical investigation of asset price bubbles in Latin American emerging financial markets 0 0 0 186 1 2 15 537
Arbitrage in the foreign exchange market: Turning on the microscope 1 3 15 408 6 20 99 1,532
Asset prices, exchange rates and the current account 0 0 0 119 1 2 18 411
Business cycles and currency returns 1 1 2 45 2 2 23 172
CAUTION OR ACTIVISM? MONETARY POLICY STRATEGIES IN AN OPEN ECONOMY 0 0 0 32 2 3 16 173
Capital Flows to Developing Countries: Long- and Short-Term Determinants 0 0 0 4 0 3 17 1,440
Carry Trades and Global Foreign Exchange Volatility 0 2 5 215 12 33 71 712
Comparing the accuracy of density forecasts from competing models 0 0 0 87 0 1 8 278
Composantes permanente et transitoire de l'épargne et de l'investissement: une étude empirique des flux internationaux de capitaux au Japon 0 0 0 4 0 0 4 63
Currency Premia and Global Imbalances 0 1 6 105 3 10 45 440
Currency Risk Premiums Redux 0 1 5 7 0 3 25 36
Currency Value 1 1 5 83 5 8 31 290
Currency momentum strategies 1 4 16 430 12 40 139 1,494
Deviations from purchasing power parity under different exchange rate regimes: Do they revert and, if so, how? 0 0 0 190 0 1 15 481
Does the law of one price hold in international financial markets? Evidence from tick data 0 0 0 123 0 1 19 616
Empirical exchange rate models and currency risk: some evidence from density forecasts 0 0 0 128 1 1 19 306
Estimating the Mean‐reverting Component in Stock Prices: A Cross‐country comparison 0 0 0 1 0 0 3 7
European Capital Flows and Regional Risk 0 0 0 81 0 1 13 331
Exchange Rates and Fundamentals: Footloose or Evolving Relationship? 0 0 0 211 0 1 16 566
Exchange Rates and Sovereign Risk 0 0 4 12 0 1 29 60
Exchange controls, international capital flows and saving-investment correlations in the UK: An empirical investigation 0 0 0 33 0 0 7 188
Exchange rate and interest rate volatility in the European Monetary System: some further results 0 0 0 49 2 3 10 182
Exchange rate forecasting, order flow and macroeconomic information 0 1 7 321 3 6 41 951
Exchange rates and fundamentals: evidence on the economic value of predictability 0 0 0 237 0 1 33 662
Federal Funds Rate Prediction 0 0 0 0 0 1 7 850
Foreign Exchange Intervention: A New Database 0 3 6 17 1 6 30 68
Foreign Exchange Volume 0 1 3 13 1 6 42 86
Foreign exchange risk and the predictability of carry trade returns 0 0 2 54 1 1 17 207
Global liquidity risk in the foreign exchange market 1 1 3 85 1 2 19 416
Hot money, accounting labels and the permanence of capital flows to developing countries: an empirical investigation 0 0 0 335 0 0 10 1,030
How the Subprime Crisis went global: Evidence from bank credit default swap spreads 0 0 1 147 0 0 33 550
How well do monetary fundamentals forecast exchange rates? 0 0 0 710 1 2 12 1,961
Information Flows in Foreign Exchange Markets: Dissecting Customer Currency Trades 0 0 0 16 5 5 15 153
International real interest rate differentials, purchasing power parity and the behaviour of real exchange rates: the resolution of a conundrum 0 0 0 289 0 0 12 1,100
Mean reversion in stock index futures markets: A nonlinear analysis 0 0 1 6 2 3 19 56
Modelling and forecasting stock returns: exploiting the futures market, regime shifts and international spillovers 0 0 1 2 0 0 10 18
Modelling and forecasting stock returns: exploiting the futures market, regime shifts and international spillovers 0 0 0 232 0 0 11 729
Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes 0 0 0 158 0 1 11 557
Monetary Policy Rules, Asset Prices, and Exchange Rates 0 0 2 48 1 2 14 182
Moral hazard, asset price bubbles, capital flows, and the East Asian crisis:: the first tests 0 0 2 520 0 1 11 1,141
New evidence on the forward unbiasedness hypothesis in the foreign‐exchange market 0 0 0 0 0 0 9 21
Nonlinear Dynamics, Spillovers and Growth in the G7 Economies: An Empirical Investigation 0 0 0 1 0 0 1 8
Nonlinear Equilibrium Correction in U.S. Real Money Balances, 1869-1997 0 0 0 1 0 2 13 301
Nonlinear Exchange Rate Models: A Selective Overview 0 0 0 25 0 0 7 155
Nonlinear Mean-Reversion in Real Exchange Rates: Toward a Solution to the Purchasing Power Parity Puzzles 0 0 0 2 1 2 27 835
Nonlinear dynamics in deviations from the law of one price: a broad-based empirical study 0 0 1 250 0 4 34 736
Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle 0 0 0 76 0 1 13 275
Nonstandard Errors 0 2 8 46 6 15 57 191
Official Intervention in the Foreign Exchange Market: Is It Effective and, If So, How Does It Work? 0 1 7 1,078 1 4 42 2,754
Policy convergence, the exchange rate mechanism and the misalignment of exchange rates. Some tests of purchasing power parity and generalized purchasing power parity 0 0 0 142 1 1 6 504
Private consumption behaviour, liquidity constraints and financial deregulation in France: a nonlinear analysis 0 0 0 177 0 1 9 804
Properties of foreign exchange risk premiums 0 0 0 92 2 3 9 308
Purchasing Power Parity and the Real Exchange Rate 0 0 2 1,994 1 12 49 4,802
Real Exchange Rate Dynamics in Transition Economies: A Nonlinear Analysis 0 0 0 290 0 0 21 788
Real Interest Rates, Liquidity Constraints and Financial Deregulation: Private Consumption Behavior in the U.K 0 0 1 112 0 0 11 287
Real exchange rate behavior in the Middle East: a re-examination 0 0 1 63 0 1 11 266
Real exchange rate behaviour in high inflation countries: empirical evidence from Turkey, 1980-1997 0 0 1 150 0 1 5 401
Real exchange rates under the recent float: unequivocal evidence of mean reversion 0 0 1 121 1 4 20 381
Risks and risk premia in the US Treasury market 0 0 0 5 0 2 38 54
Risky bank guarantees 0 0 0 19 0 1 16 93
Savings-Investment Correlations: Transitory versus Permanent 0 0 0 0 0 1 4 405
Short‐ and long‐run price level uncertainty under different monetary policy regimes: an international comparison 0 0 1 4 0 0 9 19
Special issue on advances in international money, macro and finance 0 0 0 44 0 0 6 145
Speculative Bubbles in U.K. House Prices: Some New Evidence 0 0 0 4 0 1 13 28
Spot and forward volatility in foreign exchange 0 1 3 147 1 3 21 543
Stochastic growth: Empirical evidence from the G7 countries 0 0 0 11 0 1 15 160
Systematic sampling and real exchange rates 0 0 0 24 0 0 8 97
The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields 0 0 0 66 0 0 38 306
The Feeble Link between Exchange Rates and Fundamentals: Can We Blame the Discount Factor? 0 0 0 1 0 2 13 32
The Feeble Link between Exchange Rates and Fundamentals: Can We Blame the Discount Factor? 0 0 0 58 0 0 17 211
The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth? 0 0 0 116 1 2 14 394
The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates 0 0 0 160 1 2 15 538
The behavior of US public debt: a nonlinear perspective 0 0 0 127 0 0 9 375
The behavior of real exchange rates during the post-Bretton Woods period 0 0 3 417 0 4 34 1,165
The cost of carry model and regime shifts in stock index futures markets: An empirical investigation 0 1 1 14 1 3 12 66
The cost of foreign-currency lending 1 3 4 12 3 5 22 67
The dynamic relationship between the federal funds rate and the Treasury bill rate: An empirical investigation 0 0 0 284 0 6 21 1,141
The economic value of predicting bond risk premia 0 0 0 38 1 1 13 137
The efficient market hypothesis and identification in structural VARs 0 0 0 163 0 0 11 911
The expectation hypothesis of the term structure of very short-term rates: Statistical tests and economic value 0 0 1 202 0 1 18 717
The market for lemmings: The herding behavior of pension funds 0 0 2 34 2 4 19 153
The out-of-sample success of term structure models as exchange rate predictors: a step beyond 0 0 0 336 0 0 8 937
The scapegoat theory of exchange rates: the first tests 0 0 1 91 2 3 15 354
The temporal relationship between derivatives trading and spot market volatility in the U.K.: Empirical analysis and Monte Carlo evidence 0 0 0 8 0 0 5 33
The trade imbalance network and currency returns 0 0 6 6 2 2 46 46
Time‐Varying Volatility in the Foreign Exchange Market: New Evidence on its Persistence and on Currency Spillovers 0 0 0 9 0 0 16 47
Timing exchange rates using order flow: The case of the Loonie 0 1 1 37 1 2 12 163
Toward a new paradigm in open economy modeling: where do we stand? 0 0 1 27 1 1 11 104
Viewpoint: Towards a solution to the puzzles in exchange rate economics: where do we stand? 0 2 2 7 3 8 24 50
Viewpoint: Towards a solution to the puzzles in exchange rate economics: where do we stand? 0 0 1 388 0 3 27 815
Volatility risk premia and exchange rate predictability 1 1 5 125 7 19 48 458
What Do Stock Markets Tell Us about Exchange Rates? 0 0 0 33 0 1 23 157
What drives international portfolio flows? 0 0 1 70 1 7 27 234
What's Unique About the Federal Funds Rate? Evidence from a Spectral Perspective* 0 0 0 30 0 1 7 182
When Is Foreign Exchange Intervention Effective? Evidence from 33 Countries 0 0 3 131 2 6 32 555
When Is Foreign Exchange Intervention Effective? Evidence from 33 Countries 0 1 2 10 3 7 37 56
Which Fundamentals Drive Exchange Rates? A Cross‐Sectional Perspective 0 0 0 60 1 2 18 189
Total Journal Articles 7 32 147 14,086 113 331 2,118 48,216
1 registered items for which data could not be found

Book File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
The Economics of Exchange Rates 0 0 0 0 1 5 45 814
Total Books 0 0 0 0 1 5 45 814

Chapter File Downloads Abstract Views
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Non-linear Dynamics in Output, Real Exchange Rates and Real Money Balances: Norway, 1830-2003 0 0 0 0 0 1 4 6
Total Chapters 0 0 0 0 0 1 4 6

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Statistics updated 2026-09-10